good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the … multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and … estimating parameters in a stochastic volatility model is challenging, we introduce a robust methodology based on the Generalized …

of other swaps such as volatility, covariance, correlation swaps. As applications of our analytical solutions, a …The valuation of the variance swaps for local stochastic volatility with delay and jumps is discussed in this paper. We … provide some analytical closed forms for the expectation of the realized variance for the stochastic volatility with delay and …